In recent times, risk analysis and management has become of great importance in the world
of business, but unfortunately, as highlighted by the deep economic crisis we have become …

Energy producers are challenged to contribute to a lower carbon economy and to enhance
the decarbonization of this sector two sources highlight: electricity (mainly from renewables) …

We propose a model for the evolution of arbitrage-free futures prices under a regime-
switching framework. The estimation of model parameters is carried out using the hidden …

We examine the problem of modeling and forecasting European day‐ahead and month‐
ahead natural gas prices. For this, we propose two distinct probabilistic models that can be …

This paper reviews extant research on commodity price dynamics and commodity derivative
pricing models. In the first half, we provide an overview of key characteristics of commodity …

We adopt Schwartz and Smith's model (2000) to calculate risk measures of Brent oil futures
contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and …

The seaborne oil transportation market is served by two main types of vessels—crude oil
tankers and product tankers. Product tankers are designed to move refined oil products, yet …

This paper introduces a two-factor continuous-time model for commodity pricing under the
assumption that prices revert to a stochastic mean level, which shows smooth, periodic …

Operating in energy and commodity markets require a management of risk using derivative
products such as forward and futures, as well as options on these. Many of the popular …

Previous studies on freight rate dynamics have explored the behavior of freight rates and
their characteristics, including unit root, among other factors. However, there are few articles …